Market Neutral = Low Volatility

Weekly Rebalance = Adaptive

Long/Short = Hedged

What is Tiebreaker?

Tiebreaker is an active investment that uses long and short positions to deliver market neutral returns. Tiebreaker is designed to provide positive returns whether the market goes up or down. Tiebreaker employs Lucena’s Price Forecaster on a qualified list of stocks generated from Lucena’s Event Analyzer in order to rank a handful of stocks most likely to go up over the next week to a month. The strategy then incorporates long/short hedge positions using Lucena’s proprietary hedging algorithm. Tiebreaker may rebalance positions each week, utilizing technology in Lucena’s Portfolio Optimizer.

Full ReportThe above backtest represents quantitative research and should not be considered as investment advice, or solicitation to buy or sell securities.

Lucena Research is a technology company and everything presented here is derived from quantitative research. The information above is intended for certified investment professionals who understand the inherit risk of investing. It should not be assumed that the above backtest results will be repeatable in the future. Detailed list of securities and the factors used for their selection criteria is available upon request.

Tiebreaker Goals:

Market outperformance

Low Beta

Low Volatility

Low Correlation to the market

The backtest was conducted between 1/1/2009 and 9/30/2014.
Rebalanced weekly, our core holds 5 long positions and our hedge is a long/short cobination with 30% allocation and a relative beta of 2.
Benchmark used was S7P 500. As can be seen, the Hedge reduces volatility while still maintaining strong market relative performance.

Our Edge:

Adjust its net exposure and tilts towards long/short based on market risk.

Disclaimer: This information has been prepared by Lucena Research Inc. and is intended for informational purposes only. This information should not be construed as investment, legal and/or tax advice. Additionally, this content is not intended as an offer to sell or a solicitation of any investment product or service. Do not take the opinions expressed explicitly or implicitly in this communication as investment advice. The opinions expressed are based on statistical forecasting which is based on historical data analysis. Past performance does not guarantee future success. In addition, the assumptions and the historical data based on which an opinion is made could be faulty. All results and analyses expressed are hypothetical and are NOT guaranteed. All Trading involves substantial risk. Leverage Trading has large potential reward but also large potential risk. Never trade with money you cannot afford to lose. If you are neither a registered nor a certified investment professional this information is not intended for you. Please consult a registered or a certified investment advisor before risking any capital.